DocumentCode
239644
Title
A fully sequential procedure for known and equal variances based on multivariate Brownian motion
Author
Dieker, A.B. ; Seong-Hee Kim
Author_Institution
Georgia Inst. of Technol., Atlanta, GA, USA
fYear
2014
fDate
7-10 Dec. 2014
Firstpage
3749
Lastpage
3760
Abstract
We consider the problem of identifying the system with the largest expected mean among a number of simulated systems. We provide a new fully sequential procedure whose continuation region is developed based on multivariate Brownian motion when the variances of the systems are known and equal. We provide an approximation to determine the procedure parameters and we show experimental results.
Keywords
Brownian motion; approximation theory; simulation; approximation; fully sequential procedure; multivariate Brownian motion; simulated systems; Approximation methods; Bayes methods; Brownian motion; Computational modeling; Silicon; Standards; Vectors;
fLanguage
English
Publisher
ieee
Conference_Titel
Simulation Conference (WSC), 2014 Winter
Conference_Location
Savanah, GA
Print_ISBN
978-1-4799-7484-9
Type
conf
DOI
10.1109/WSC.2014.7020203
Filename
7020203
Link To Document